Search Results - subject:"Large deviation principle"

Exit times for multivariate autoregressive processes

Jung, Brita - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3052-3063

. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends …

Persistent link: https://www.econbiz.de/10010679229

Asymptotic behavior of the empirical conditional value-at-risk

Gao, Fuqing; Wang, Shaochen - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 345-352

, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR …

Persistent link: https://www.econbiz.de/10010576726

A note on essential smoothness in the Heston model

Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and Stochastics 15 (2011) 4, pp. 781-784

Persistent link: https://www.econbiz.de/10009400212

Recursive random variables with subgaussian distributions

Neininger, Ralph - In: Statistics & Decisions 23 (2005) 2, pp. 131-146

Summary We consider sequences of random variables with distributions that satisfy recurrences as they appear for quantities on random trees, random combinatorial structures and recursive algorithms. We study the tails of such random variables in cases where after normalization convergence to the...

Persistent link: https://www.econbiz.de/10014621303